AssetSwap Class Reference

Bullet bond vs Libor swap. More...

#include <ql/instruments/assetswap.hpp>

Inheritance diagram for AssetSwap:

Classes
class	arguments
	Arguments for asset swap calculation More...
class	results
	Results from simple swap calculation More...

Public Member Functions
	AssetSwap (bool payBondCoupon, ext::shared_ptr< Bond > bond, Real bondCleanPrice, const ext::shared_ptr< IborIndex > &iborIndex, Spread spread, Schedule floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true, Real gearing=1.0, Real nonParRepayment=Null< Real >(), Date dealMaturity=Date())
	AssetSwap (bool parAssetSwap, ext::shared_ptr< Bond > bond, Real bondCleanPrice, Real nonParRepayment, Real gearing, const ext::shared_ptr< IborIndex > &iborIndex, Spread spread=0.0, const DayCounter &floatingDayCount=DayCounter(), Date dealMaturity=Date(), bool payBondCoupon=false)
Spread	fairSpread () const
Real	floatingLegBPS () const
Real	floatingLegNPV () const
Real	fairCleanPrice () const
Real	fairNonParRepayment () const
bool	parSwap () const
Spread	spread () const
Real	cleanPrice () const
Real	nonParRepayment () const
const ext::shared_ptr< Bond > &	bond () const
bool	payBondCoupon () const
const Leg &	bondLeg () const
const Leg &	floatingLeg () const
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
Public Member Functions inherited from Swap
void	deepUpdate () override
Size	numberOfLegs () const
const std::vector< Leg > &	legs () const
virtual Date	startDate () const
virtual Date	maturityDate () const
Real	legBPS (Size j) const
Real	legNPV (Size j) const
DiscountFactor	startDiscounts (Size j) const
DiscountFactor	endDiscounts (Size j) const
DiscountFactor	npvDateDiscount () const
const Leg &	leg (Size j) const
bool	payer (Size j) const
bool	isExpired () const override
	returns whether the instrument might have value greater than zero.
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
	Swap (const Leg &firstLeg, const Leg &secondLeg)
	Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.
Real	errorEstimate () const
	returns the error estimate on the NPV when available.
const Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T>
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used.
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()

Additional Inherited Members
Public Types inherited from Swap
enum	Type { Receiver = -1 , Payer = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator
void	setupExpired () const override
	Swap (Size legs)
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override
std::vector< Leg >	legs_
std::vector< Real >	payer_
std::vector< Real >	legNPV_
std::vector< Real >	legBPS_
std::vector< DiscountFactor >	startDiscounts_
std::vector< DiscountFactor >	endDiscounts_
DiscountFactor	npvDateDiscount_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Bullet bond vs Libor swap.

for mechanics of par asset swap and market asset swap, refer to "Introduction to Asset Swap", Lehman Brothers European Fixed Income Research - January 2000, D. O'Kane

Warning

bondCleanPrice must be the (forward) price at the floatSchedule start date

Bug

fair prices are not calculated correctly when using indexed coupons.

Constructor & Destructor Documentation

AssetSwap() [1/2]

AssetSwap	(	bool	payBondCoupon,
		ext::shared_ptr< Bond >	bond,
		Real	bondCleanPrice,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Spread	spread,
		Schedule	floatSchedule = Schedule(),
		const DayCounter &	floatingDayCount = DayCounter(),
		bool	parAssetSwap = true,
		Real	gearing = 1.0,
		Real	nonParRepayment = Null< Real >(),
		Date	dealMaturity = Date() )

If the passed iborIndex is an overnight rate such as SOFR, ESTR or SONIA, the floatSchedule argument is required and will be used to build overnight-indexed coupons.

AssetSwap() [2/2]

AssetSwap	(	bool	parAssetSwap,
		ext::shared_ptr< Bond >	bond,
		Real	bondCleanPrice,
		Real	nonParRepayment,
		Real	gearing,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Spread	spread = 0.0,
		const DayCounter &	floatingDayCount = DayCounter(),
		Date	dealMaturity = Date(),
		bool	payBondCoupon = false )

Deprecated

Use the other overload. Deprecated in version 1.37.

Member Function Documentation

setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

fetchResults()

void fetchResults ( const PricingEngine::results * r ) const

overridevirtual

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.